Beethoven's Piano Sonata No. 14 is also called the Moonlight Sonata. The first movement is smooth, like the moonlight in a quiet and clear night; the second movement is vivid, just similar to the moonlight in a night with few clouds and gentle breezes; The last movement, in contrast, is quite strong and violent, it is more like thunders in a stormy night, rather than moonlight.

When it comes to interpretation, anything goes. With that said, this is Beethoven, so there may be some relevant history and analysis of this subject that would be appropriate here. With that as the goal, I'm going to protect this question immediately to prevent every new user who comes across this from sharing a random opinion :P
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Matthew Read♦May 30 '13 at 15:39

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According to Wikipedia: "The name 'Moonlight Sonata' has its origins in remarks by the German music critic and poet Ludwig Rellstab. In 1832, five years after Beethoven's death, Rellstab likened the effect of the first movement to that of moonlight shining upon Lake Lucerne." That is, there isn't actually any historical connection between the "moonlight" nickname and the third movement, so you shouldn't be surprised by its non-lunar qualities.
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MicahMay 30 '13 at 15:52

If you listen to Valentina Lisitsa's version you might(!) get the connection everytime. By itself it doesn't mean too much but when it is connected to the previous build-up it kind of makes sense to me a lot. However, contrary to what classical music people claim it's a personal thing. If you don't feel anything it is what it is. Nothing more nothing less. But I tend to link those pieces conceptually even though there might be or might not be any connections.
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user1306May 30 '13 at 21:18

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I prefer to tell people that it's cause Beethoven wrote it during a second job, hence "moonlighting." :-)
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Carl WitthoftMay 31 '13 at 13:26

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As is the case with many classical pieces of absolute music, the subtitle of this piano sonata was not attributed by the composer. (See also the Chopin preludes and etudes -- he saw his music expressly as non-programmatic, but many of these pieces have gained "nicknames" such as "Revolutionary", "Winter Wind" from performers and listeners over the years.)

The full title of this piece of music is Piano Sonata No. 14 in C-sharp minor "Quasi una fantasia", Op. 27, No. 2. As @Micah has noted in his comment, the name "Moonlight Sonata" was attributed by a music critic years after Beethoven's death, and simply caught on because it was catchy and popular, not because it was an accurate representation of the music within the sonata.

Agreed! Many of Beethoven's works (and other composers) have works with nicknames not associated with the composer. For example, Beethoven's "Eroica" and "Pastorale" symphonies, Mozart's "Dissonance" quartet, and many, many of Haydn's symphonies.
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jjmusicnotesMay 30 '13 at 17:42